• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Summer School
      • Behavioral Macro and Complexity
      • Climate Change
      • (CANCELED) Econometrics and Data Science Methods
      • Networks in Micro- and Macroeconomics
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
  • Alumni
  • Times

14-028/III - A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis

  • Authors
    David Ardia, Laval University, Quebec, Canada; Lukasz Gatarek, Erasmus University Rotterdam; Lennart F. Hoogerheide, VU University Amsterdam
  • Publication date
    February 28, 2014
  • Keywords
    Bootstrap test, GARCH, marginal models, multiple time series, Value-at-Risk
  • JEL
    C1, C12, C22, C44
Download here